I'm not quite sure how Heavy Armour works. It says all minfigs wearing it are Shielded from attacks. After reading the section on shields, it basically says being shielded means the attack is useless. So, Heavy armour makes you invincible. I think I may have undersood something incorrectly, can someone explain?

It removes one die of damage of each size from each attack. Most small weapons only do a single die of damage, but things like the +1 attached to rifles or the +2 from swords still get through and can add up. So 1d6+1 just boils down to 1 damage.

Attacks from bigger weapons on the other hand still get through. 2d6 damage gets reduced to 1d6. On the other hand, multiple types of die in an attack are all reduced. The best example is if an explosion (1d10) from a shaped charge (+1d8) launched a flaming (+1d4) piece of debris (+1d6), the total damage is zero, instead of 1d10+1d8+1d6+1d4.